Exosomes are biological nanovesicles that participate in intercellular communication by transferring biologically active chemical compounds (proteins, microRNA, mRNA, DNA, and others). Due to their small size (diameter 40–100 nm) and high biological compatibility, exosomes are promising delivery tools in personalized therapy. Because artificial exosome synthesis methods are not developed yet, the urgent task is to develop an effective and safe way to obtain exosomes from natural sources. Milk is the only exosome-containing biological fluid that is commercially available. In this regard, milk exosomes are unique and promising candidates for new therapeutic approaches to treating various diseases, including cancer. The appearance of side effects during the use of cytotoxic and cytostatic agents is among the main problems in cancer chemotherapy. According to this, the targeted delivery of chemotherapeutic agents can be a potential solution to the toxic effect of chemotherapy. The ability of milk exosomes to carry out biologically active substances to the cell makes them promising tools for oral delivery of chemotherapeutic agents. This review is devoted to the methods of milk exosome isolation, their biological components, and prospects for their use in cancer treatment.